Economics, Econometrics and Finance
8 years ago

New method uncovers "one true" market returns, revolutionizing asset pricing.

1 view
˜The œjournal of wealth management
The One: <i>A Simulation of CAPM Market Returns</i>
Jordan French

Paper Summary

A new method for calculating market returns using the CAPM model has been developed. By using a back-solving process, researchers have found the best distribution to use for accurate market returns is the Student t-distribution. This study also shows that popular market proxies are inefficient and can lead to inaccurate results when discrediting the CAPM model.

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